A B C D E F I K M O P R S T U V W

PerformanceAnalytics-package | Econometric tools for performance and risk analysis. |

ActivePremium | Active Premium |

apply.fromstart | calculate a function over an expanding window always starting from the beginning of the series |

apply.rolling | calculate a function over a rolling window |

BetaCoKurtosis | Functions to calculate systematic or beta co-moments of return series |

BetaCoMoments | Functions to calculate systematic or beta co-moments of return series |

BetaCoSkewness | Functions to calculate systematic or beta co-moments of return series |

BetaCoVariance | Functions to calculate systematic or beta co-moments of return series |

CalculateReturns | calculate simple or compound returns from prices |

CalmarRatio | calculate a Calmar or Sterling reward/risk ratio |

CAPM.alpha | calculate CAPM alpha |

CAPM.beta | calculate CAPM beta |

CAPM.beta.bear | calculate CAPM beta |

CAPM.beta.bull | calculate CAPM beta |

CAPM.CML | utility functions for CAPM CML, SML, and RiskPremium |

CAPM.CML.slope | utility functions for CAPM CML, SML, and RiskPremium |

CAPM.RiskPremium | utility functions for CAPM CML, SML, and RiskPremium |

CAPM.SML.slope | utility functions for CAPM CML, SML, and RiskPremium |

CAPM.utils | utility functions for CAPM CML, SML, and RiskPremium |

centeredcomoment | calculate centered Returns |

centeredmoment | calculate centered Returns |

chart.ACF | Create ACF chart or ACF with PACF two-panel chart |

chart.ACFplus | Create ACF chart or ACF with PACF two-panel chart |

chart.Bar | wrapper for barchart of returns |

chart.BarVaR | Periodic returns in a bar chart with risk metric overlay |

chart.Boxplot | box whiskers plot wrapper |

chart.CaptureRatios | Chart of Capture Ratios against a benchmark |

chart.Correlation | correlation matrix chart |

chart.CumReturns | Cumulates and graphs a set of periodic returns |

chart.Drawdown | Time series chart of drawdowns through time |

chart.ECDF | Create an ECDF overlaid with a Normal CDF |

chart.Events | Plots a time series with event dates aligned |

chart.Histogram | histogram of returns |

chart.QQPlot | Plot a QQ chart |

chart.Regression | Takes a set of returns and relates them to a market benchmark in a scatterplot |

chart.RelativePerformance | relative performance chart between multiple return series |

chart.RiskReturnScatter | scatter chart of returns vs risk for comparing multiple instruments |

chart.RollingCorrelation | chart rolling correlation fo multiple assets |

chart.RollingMean | chart the rolling mean return |

chart.RollingPerformance | wrapper to create a chart of rolling performance metrics in a line chart |

chart.RollingQuantileRegression | A wrapper to create charts of relative regression performance through time |

chart.RollingRegression | A wrapper to create charts of relative regression performance through time |

chart.RollingStyle | calculate and display effective style weights |

chart.Scatter | wrapper to draw scatter plot with sensible defaults |

chart.SnailTrail | chart risk versus return over rolling time periods |

chart.StackedBar | create a stacked bar plot |

chart.Style | calculate and display effective style weights |

chart.TimeSeries | Creates a time series chart with some extensions. |

chart.VaRSensitivity | show the sensitivity of Value-at-Risk estimates |

charts.PerformanceSummary | Create combined wealth index, period performance, and drawdown chart |

charts.RollingPerformance | rolling performance chart |

charts.RollingRegression | A wrapper to create charts of relative regression performance through time |

checkData | check input data type and format and coerce to the desired output type |

clean.boudt | clean extreme observations in a time series to to provide more robust risk estimates |

CoKurtosis | Functions for calculating comoments of financial time series |

CoMoments | Functions for calculating comoments of financial time series |

CoSkewness | Functions for calculating comoments of financial time series |

CoVariance | Functions for calculating comoments of financial time series |

CVaR | calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods. |

DownsideDeviation | downside risk (deviation, variance) of the return distribution |

Drawdowns | Find the drawdowns and drawdown levels in a timeseries. |

edhec | EDHEC-Risk Hedge Fund Style Indices |

ES | calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods. |

findDrawdowns | Find the drawdowns and drawdown levels in a timeseries. |

InformationRatio | InformationRatio = ActivePremium/TrackingError |

KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy |

kurtosis | Kurtosis |

managers | Hypothetical Alternative Asset Manager and Benchmark Data |

maxDrawdown | caclulate the maximum drawdown from peak equity |

mean.geometric | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |

mean.LCL | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |

mean.stderr | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |

mean.UCL | |

mean.utils |

Omega | calculate Omega for a return series |

PerformanceAnalytics | Econometric tools for performance and risk analysis. |

replaceTabs | Display text information in a graphics plot. |

Return.annualized | calculate an annualized return for comparing instruments with different length history |

Return.calculate | calculate simple or compound returns from prices |

Return.centered | calculate centered Returns |

Return.clean | clean returns in a time series to to provide more robust risk estimates |

Return.cumulative | calculate a compounded (geometric) cumulative return |

Return.excess | Calculates the returns of an asset in excess of the given risk free rate |

Return.Geltner | calculate Geltner liquidity-adjusted return series |

Return.portfolio | Calculates weighted returns for a portfolio of assets |

Return.read | Read returns data with different date formats |

Return.rebalancing | Calculates weighted returns for a portfolio of assets |

Return.relative | calculate the relative return of one asset to another |

sd.annualized | calculate a multiperiod or annualized Standard Deviation |

sd.multiperiod | calculate a multiperiod or annualized Standard Deviation |

SemiDeviation | downside risk (deviation, variance) of the return distribution |

SemiVariance | downside risk (deviation, variance) of the return distribution |

SharpeRatio | Sharpe Ratio |

SharpeRatio.annualized | calculate annualized Sharpe Ratio |

SharpeRatio.modified | calculate a modified Sharpe Ratio of Return over VaR or ES |

skewness | Skewness |

SmoothingIndex | calculate Normalized Getmansky Smoothing Index |

sortDrawdowns | order list of drawdowns from worst to best |

SortinoRatio | calculate Sortino Ratio of performance over downside risk |

statsTable | wrapper function for combining arbitrary function list into a table |

StdDev.annualized | calculate a multiperiod or annualized Standard Deviation |

SterlingRatio | calculate a Calmar or Sterling reward/risk ratio |

style.fit | calculate and display effective style weights |

style.QPfit | calculate and display effective style weights |

SystematicKurtosis | Functions to calculate systematic or beta co-moments of return series |

SystematicSkewness | Functions to calculate systematic or beta co-moments of return series |

table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts |

table.Arbitrary | wrapper function for combining arbitrary function list into a table |

table.Autocorrelation | table for calculating the first six autocorrelation coefficients and significance |

table.CalendarReturns | Monthly and Calendar year Return table |

table.CAPM | Asset-Pricing Model Summary: Statistics and Stylized Facts |

table.CaptureRatios | Calculate and display a table of capture ratio and related statistics |

table.Correlation | calculate correlalations of multicolumn data |

table.DownsideRisk | Downside Risk Summary: Statistics and Stylized Facts |

table.Drawdowns | Worst Drawdowns Summary: Statistics and Stylized Facts |

table.HigherMoments | Higher Moments Summary: Statistics and Stylized Facts |

table.MonthlyReturns | Returns Summary: Statistics and Stylized Facts |

table.Returns | Monthly and Calendar year Return table |

table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts |

table.Stats | Returns Summary: Statistics and Stylized Facts |

table.TrailingPeriods | Rolling Periods Summary: Statistics and Stylized Facts |

table.TrailingPeriodsRel | Rolling Periods Summary: Statistics and Stylized Facts |

table.UpDownRatios | Calculate and display a table of capture ratio and related statistics |

textplot | Display text information in a graphics plot. |

textplot.character | Display text information in a graphics plot. |

textplot.data.frame | Display text information in a graphics plot. |

textplot.default | Display text information in a graphics plot. |

textplot.matrix | Display text information in a graphics plot. |

TimingRatio | calculate CAPM beta |

TrackingError | Calculate Tracking Error of returns against a benchmark |

TreynorRatio | calculate Treynor Ratio of excess return over CAPM beta |

UpDownRatios | calculate metrics on up and down markets for the benchmark asset |

UPR | calculate Upside Potential Ratio of upside performance over downside risk |

UpsidePotentialRatio | calculate Upside Potential Ratio of upside performance over downside risk |

VaR | calculate various Value at Risk (VaR) measures |

VaR.CornishFisher | calculate various Value at Risk (VaR) measures |

weights | Selected Portfolio Weights Data |